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Gaussian density estimates for solutions of fully coupled forward‐backward SDEs
Author(s) -
Olivera Christian,
Shamarova Evelina
Publication year - 2020
Publication title -
mathematische nachrichten
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.913
H-Index - 50
eISSN - 1522-2616
pISSN - 0025-584X
DOI - 10.1002/mana.201800381
Subject(s) - mathematics , gaussian , component (thermodynamics) , thermodynamics , quantum mechanics , physics
Abstract We obtain upper and lower Gaussian density estimates for the laws of each component of the solution to a one‐dimensional fully coupled forward‐backward SDE. Our approach relies on the link between FBSDEs and quasilinear parabolic PDEs, and is fully based on the use of classical results on PDEs rather than on manipulation of FBSDEs, compared to other papers on this topic. This essentially simplifies the analysis.